Broad Equity Market Tone:
- Advance/Decline Line: Lower
- Sector Performance: Mixed
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 11.06 +6.76%
- Euro/Yen Carry Return Index 126.77 +.39%
- Emerging Markets Currency Volatility(VXY) 8.65 -1.03%
- S&P 500 Implied Correlation 43.54 +3.10%
- ISE Sentiment Index 81.0 -42.96%
- Total Put/Call .89 -2.2%
- NYSE Arms .89 -43.1%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.20 +.90%
- America Energy Sector High-Yield CDS Index 367.0 -.90%
- European Financial Sector CDS Index 74.22 -1.38%
- Western Europe Sovereign Debt CDS Index 9.17 -2.96%
- Asia Pacific Sovereign Debt CDS Index 22.26 -1.24%
- Emerging Market CDS Index 198.95 +.43%
- iBoxx Offshore RMB China Corporate High Yield Index 137.16 unch.
- 2-Year Swap Spread 31.25 +.75 basis point
- TED Spread 37.25 +.25 basis point
- 3-Month EUR/USD Cross-Currency Basis Swap -33.5 -2.0 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 72.27 +.04%
- 3-Month T-Bill Yield .80% unch.
- Yield Curve 102.0 -2.0 basis opints
- China Import Iron Ore Spot $68.80/Metric Tonne +3.58%
- Citi US Economic Surprise Index -4.80 -8.7 points
- Citi Eurozone Economic Surprise Index 70.40 +9.2 points
- Citi Emerging Markets Economic Surprise Index 39.5 +.4 point
- 10-Year TIPS Spread 1.94 +1.0 basis point
- 69.7% chance of Fed rate hike at June 14 meeting, 72.0% chance at July 26 meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating +52 open in Japan
- China A50 Futures: Indicating +6 open in China
- DAX Futures: Indicating +15 open in Germany
Portfolio:
- Slightly Higher: On gains in my biotech/tech/medical sector longs
- Disclosed Trades: Added to my (IWM)/(QQQ) hedges
- Market Exposure: Moved to 50% Net Long
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